Pages that link to "Item:Q4555662"
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The following pages link to Jump and Volatility Dynamics for the S&P 500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets* (Q4555662):
Displaying 7 items.
- Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm (Q2095684) (← links)
- Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise (Q2219235) (← links)
- Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps (Q2246642) (← links)
- MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES (Q3008483) (← links)
- Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data (Q5120733) (← links)
- Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market (Q6089610) (← links)
- Extending the Merton model with applications to credit value adjustment (Q6165387) (← links)
